Date of Award
12-31-2013
Document Type
Campus Access Thesis
Degree Name
Master of Science (MS)
Department
Finance
First Advisor
Sean Cao
Second Advisor
Surjit Tinaikar
Third Advisor
Atreya Chakraborty
Abstract
The prevalent hypothesis for the existence of Post-earnings announcement drift (PEAD) is that investors underreact to the information in earnings. In this paper, we use cross-country data to explore whether PEAD is due to market underreaction or missing risk factors. We examine the PEAD anomaly in 19 countries including advanced countries and developing countries. Comparing the results between advanced countries and developing countries, we conclude that PEAD anomaly is due to market underreaction.
Recommended Citation
Lin, Zhilu, "Is the Pead Anomaly Due To Market Underreaction or Risk Factors: A Global Perspective" (2013). Graduate Masters Theses. 215.
https://scholarworks.umb.edu/masters_theses/215
Comments
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